کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6891994 | 1445345 | 2018 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Fractional Wishart processes and ε-fractional Wishart processes with applications
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موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we introduce two new matrix stochastic processes: fractional Wishart processes and ε-fractional Wishart processes with integer indices which are based on the fractional Brownian motions and then extend ε-fractional Wishart processes to the case with non-integer indices. Both processes include classic Wishart processes (if the Hurst index H equals 12) and present serial correlation of stochastic processes. Applying ε-fractional Wishart processes to financial volatility theory, the financial models account for the stochastic volatilities of the assets and for the stochastic correlations not only between the underlying assets' returns but also between their volatilities and for stochastic serial correlation of the relevant assets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computers & Mathematics with Applications - Volume 75, Issue 8, 15 April 2018, Pages 2955-2977
Journal: Computers & Mathematics with Applications - Volume 75, Issue 8, 15 April 2018, Pages 2955-2977
نویسندگان
Jia Yue, Nan-jing Huang,